Pricing engine for European vanilla options using analytical formulae. More...

#include <analyticeuropeanengine.hpp>

Inheritance diagram for AnalyticEuropeanEngine:

Collaboration diagram for AnalyticEuropeanEngine:

Public Member Functions
	AnalyticEuropeanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)

	AnalyticEuropeanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Handle< YieldTermStructure > discountCurve)

void	calculate () const override

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Handle< YieldTermStructure >	discountCurve_

Detailed Description

Pricing engine for European vanilla options using analytical formulae.

Tests:

the correctness of the returned value is tested by reproducing results available in literature.
the correctness of the returned greeks is tested by reproducing results available in literature.
the correctness of the returned greeks is tested by reproducing numerical derivatives.
the correctness of the returned implied volatility is tested by using it for reproducing the target value.
the implied-volatility calculation is tested by checking that it does not modify the option.
the correctness of the returned value in case of cash-or-nothing digital payoff is tested by reproducing results available in literature.
the correctness of the returned value in case of asset-or-nothing digital payoff is tested by reproducing results available in literature.
the correctness of the returned value in case of gap digital payoff is tested by reproducing results available in literature.
the correctness of the returned greeks in case of cash-or-nothing digital payoff is tested by reproducing numerical derivatives.

Definition at line 61 of file analyticeuropeanengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticEuropeanEngine() [1/2]

AnalyticEuropeanEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess > process )

explicit

This constructor triggers the usual calculation, in which the risk-free rate in the given process is used for both forecasting and discounting.

Definition at line 28 of file analyticeuropeanengine.cpp.

◆ AnalyticEuropeanEngine() [2/2]

AnalyticEuropeanEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Handle< YieldTermStructure >	discountCurve
	)

This constructor allows to use a different term structure for discounting the payoff. As usual, the risk-free rate from the given process is used for forecasting the forward price.

Definition at line 34 of file analyticeuropeanengine.cpp.

Member Function Documentation

◆ calculate()

void calculate ( ) const

override

Definition at line 42 of file analyticeuropeanengine.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 79 of file analyticeuropeanengine.hpp.

◆ discountCurve_

Handle<YieldTermStructure> discountCurve_